Does it pay to be ethical? Evidence from the FTSE4Good

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dc.contributor.authorBelghitar, Yacine
dc.contributor.authorClark, Ephraim
dc.contributor.authorDeshmukh, Nitin
dc.date.accessioned2019-12-10T15:26:46Z
dc.date.available2019-12-10T15:26:46Z
dc.date.issued2014-07-08
dc.description.abstractThe empirical mean–variance evidence comparing the performance of Socially Responsible Investments (SRI) and conventional investments suggests that there is no significant difference between the two. This paper re-examines the problem in the context of Marginal Conditional Stochastic Dominance (MCSD), which can accommodate any return distribution or concave utility function. Our results provide strong evidence that there is a financial price to be paid for socially responsible investing. Indices composed of socially responsible firms are MCSD dominated by trademarked indices composed of conventional firms as well as by indices carefully matched by size and industry with the firms in the SRI indices. Zero cost portfolios created by shorting the SRI index and using the proceeds to invest in the conventional index generate higher average returns, lower variance and higher skewness than either of the two indices standing alone. They also MCSD dominate the SRI and conventional indices standing alone.en_UK
dc.identifier.citationBelghitar Y, Clark E, Deshmukh N. (2014) Does it pay to be ethical? Evidence from the FTSE4Good. Journal of Banking and Finance, Volume 47, October 2014, pp. 54-62en_UK
dc.identifier.cris5068603
dc.identifier.issn0378-4266
dc.identifier.urihttps://doi.org/10.1016/j.jbankfin.2014.06.027
dc.identifier.urihttp://dspace.lib.cranfield.ac.uk/handle/1826/14817
dc.language.isoenen_UK
dc.publisherElsevieren_UK
dc.rightsAttribution-NonCommercial-NoDerivatives 3.0 unported*
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/3.0/*
dc.subjectSocially Responsible Investmentsen_UK
dc.subjectSRIen_UK
dc.subjectMarginal Conditional Stochastic Dominanceen_UK
dc.titleDoes it pay to be ethical? Evidence from the FTSE4Gooden_UK
dc.typeArticleen_UK

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